Big progress. Turns out the best way to trace these installer splash screens is wine --debugmsg +exec since all they do is exec other programs.
The only problem with this button under Wine is that the current working directory MUST be /mnt/cdrom before starting setup.exe for the "install" button to work, else it doesn't find the subdirectory's setup.exe to launch. This is not true under Windows.
This seems like an important little difference to track down. I guess something in Windows might implicitly change the working directory of a newly launched program, or...?
I suppose I could write a little win32 program to mimic what setup.exe is doing, and see if it behaves differently on Windows and on Wine. I feel a regression test coming on...
I might not have time to get to this for a bit, so I'm posting the output of wine --debugmsg +exec,+dosfs,+file d:setup.exe (click on "Install Visual C++" button) to http://kegel.com/msvc4/install.txt.gz in case someone else wants to look. Search for ShellExecute to find the interesting bits. The current directory is my Wine directory... disappointing the program, which expected it to be the root of the cd-rom. - Dan